My favorite is in the Dawguard DLC for Skyrim. If you somehow get far enough into the DLC to enter the Soul Cairn and you didn't do the main story quest where you kill your first dragon, you'll get unique dialogue with a dragon you meet in the Soul Cairn. He calls you Dovahkiin, and you can ask him why he called you that, to which he responds something like "I do not know, it just felt right to call you Dovahkiin. Perhaps you will learn why soon"